Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0005
Annualized Std Dev 0.1421
Annualized Sharpe (Rf=0%) -0.0035

Row

Daily Return Statistics

Close
Observations 4440.0000
NAs 1.0000
Minimum -0.0837
Quartile 1 -0.0034
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0037
Maximum 0.1586
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0089
Skewness 1.5540
Kurtosis 47.8540

Downside Risk

Close
Semi Deviation 0.0062
Gain Deviation 0.0073
Loss Deviation 0.0072
Downside Deviation (MAR=210%) 0.0114
Downside Deviation (Rf=0%) 0.0062
Downside Deviation (0%) 0.0062
Maximum Drawdown 0.4594
Historical VaR (95%) -0.0117
Historical ES (95%) -0.0208
Modified VaR (95%) -0.0017
Modified ES (95%) -0.0017
From Trough To Depth Length To Trough Recovery
2007-01-10 2008-10-10 2010-08-12 -0.4594 905 443 462
2012-12-03 2020-03-18 NA -0.3352 2089 1835 NA
2010-08-13 2011-01-14 2012-01-27 -0.2002 368 108 260
2003-09-11 2004-06-29 2006-11-30 -0.1776 813 201 612
2012-03-13 2012-03-16 2012-05-10 -0.0905 42 4 38

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA 0 0.1 1.3 0.2 1.4 0.1 3.1
2004 0.9 -0.4 0.3 1.8 0.5 0.9 1.5 -0.3 -0.4 0.1 0.1 0.2 5.3
2005 0 -0.4 0.7 -0.2 0.1 -0.9 0.6 0.9 0.9 0.2 0.1 0.5 2.5
2006 -0.1 0.4 -0.1 0.1 0.6 0.9 -0.2 0 0.1 0.1 -0.1 0.6 2.2
2007 0 -0.1 -0.2 0.1 0.2 1.1 -1.1 -0.7 0.6 -0.9 0.5 0.2 -0.2
2008 0.7 -0.2 1 0.1 -0.1 0 -0.2 0.2 0.3 0.3 -1.3 -0.7 0
2009 -3.1 1.2 1.2 0.4 0.8 0.1 0.3 0.2 0.7 -0.6 0.5 -0.2 1.4
2010 0.1 0.7 -0.5 0.3 -0.1 -0.1 1.4 0.1 0.4 -0.5 -1.4 1.6 2.1
2011 0.4 0.5 -0.3 0.7 -0.4 0.4 1.9 -0.6 0.6 0.8 -0.4 -0.2 3.6
2012 0.1 0.4 0.3 0.4 -0.5 0.2 -1.3 0.3 0.2 -0.5 0.6 0.1 0.3
2013 0.1 0.4 -0.7 -0.1 -1 0.8 -0.9 0.1 -0.8 -1.3 0 -0.7 -4.2
2014 0.4 -0.1 -0.6 0.2 -0.2 0.2 0.3 0.3 0.1 0.1 0.1 0.1 0.9
2015 0.7 0.7 -0.1 -1 0.3 0.3 0.8 0.4 -0.3 -0.2 0.4 0 2
2016 0.3 0.1 0.3 0.7 0.1 0.3 0.5 -0.8 0 -0.3 0.2 0 1.4
2017 0.6 -0.6 0.4 0.1 0.1 0.1 0.1 -0.3 -0.4 0.1 -0.2 0.5 0.7
2018 -0.2 -0.2 0.2 0.1 0.2 0 0.3 -0.4 -1.4 -0.2 0.6 0.2 -0.9
2019 -0.2 0.4 -0.1 0.4 0.4 -0.1 0.6 0.5 0.2 -0.5 0.1 0.2 1.8
2020 0.2 -1.6 -1.6 0.9 0.9 -0.4 0.6 -0.2 1.5 0 0.7 0.6 1.4
2021 0.3 -0.3 0.1 NA NA NA NA NA NA NA NA NA 0.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-07-30  15   SPY    99.2 -0.00240  -0.0008   0.0157   0.0789   0.0904   -0.325       NA <NA>     NA    NA       NA
2 2003-07-31  15   SPY    99.4  0.0023    0.0091   0.0087   0.0815   0.0903   -0.325       NA <NA>     NA    NA       NA
3 2003-08-01  15   SPY    98.5 -0.0089   -0.0172  -0.0126   0.0569   0.110    -0.325       NA <NA>     NA    NA       NA
4 2003-08-04  15.0 SPY    98.5  0        -0.0135  -0.0023   0.0589   0.135    -0.322       NA <NA>     NA    NA       NA
5 2003-08-05  15   SPY    96.4 -0.0212   -0.03    -0.0425   0.0267   0.151    -0.321       NA <NA>     NA    NA       NA
6 2003-08-06  15   SPY    97.0  0.00580  -0.022   -0.0412   0.0384   0.12     -0.321       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart